financial-institutions-金融市場與機構(gòu)

FinancialMarketsandIntermediariesLecture6MoneyMarketInstrumentsMoneymarketinstrumentsareIOUsissuedbyfirms,financialinstitutions,orgovernmentstoraisefundsforlessthanoneyear.T-BillsFedFundspurchasedRepurchaseAgreements(Repos)NegotiableCDsCommercialPaperBanker’sAcceptancesThesemoneymarketinstrumentsdifferfromeachotherintermsofsize,maturity,collateral,liquidity,andpricing.Whoissuesit?(theborrower)Size?Maturity?Collateral?Primarymarket?Secondarymarket?TreasuryBillsU.S.Government$1,000+13or26weeksNocollateralAuction(about20primarysecuritiesdealers)ActivelytradedWhoissuesit?(theborrower)Size?Maturity?Collateral?Primarymarket?Secondarymarket?TreasuryBillsU.S.Government$1,000+13or26weeksNocollateralAuction(about20primarysecuritiesdealers)ActivelytradedFedfundsCommercialbanks$5million+1to7daysNocollateralTwobanksnegotiateterms;sometimesabrokerisused.Nosecondarymarket.Whoissuesit?(theborrower)Size?Maturity?Collateral?Primarymarket?Secondarymarket?TreasuryBillsU.S.Government$1,000+13or26weeksNocollateralAuction(about20primarysecuritiesdealers)ActivelytradedFedfundsCommercialbanks$5million+1to7daysNocollateralTwobanksnegotiateterms;sometimesabrokerisused.Nosecondarymarket.RepurchaseAgreementsOwnerofT-Bill(e.g.financialinstitutions)$10million+1to14daysT-BilliscollateralTwobanksnegotiateterms;oftenabrokerisused.NosecondarymarketWhoissuesit?(theborrower)Size?Maturity?Collateral?Primarymarket?Secondarymarket?TreasuryBillsU.S.Government$1,000+13or26weeksNocollateralAuction(about20primarysecuritiesdealers)ActivelytradedFedfundsCommercialbanks$5million+1to7daysNocollateralTwobanksnegotiateterms;sometimesabrokerisused.Nosecondarymarket.RepurchaseAgreementsOwnerofT-Bill(e.g.financialinstitutions)$10million+1to14daysT-BilliscollateralTwobanksnegotiateterms;oftenabrokerisused.NosecondarymarketNegotiableCertificatesofDepositBanksandthrifts$100,000+Upto1yearNocollateralTwobanksnegotiateterms.Small(brokered)secondarymarket.Whoissuesit?(theborrower)Size?Maturity?Collateral?Primarymarket?Secondarymarket?TreasuryBillsU.S.Government$1,000+13or26weeksNocollateralAuction(about20primarysecuritiesdealers)ActivelytradedFedfundsCommercialbanks$5million+1to7daysNocollateralTwobanksnegotiateterms;sometimesabrokerisused.Nosecondarymarket.RepurchaseAgreementsOwnerofT-Bill(e.g.financialinstitutions)$10million+1to14daysT-BilliscollateralTwobanksnegotiateterms;oftenabrokerisused.NosecondarymarketNegotiableCertificatesofDepositBanksandthrifts$100,000+Upto1yearNocollateralTwobanksnegotiateterms.Small(brokered)secondarymarket.CommercialpaperHighlyratedfirmsorfinancialinstitutions$100,000+Upto270daysNocollateralI-Bank(ratedpaper)Verylittlesecondarytrading.WhobuyMMinstruments?Someexamples:Banks(asset-sideofbalancesheet)T-Bills(short-termliquidinvestment)Fedfundssold(loanouttheirexcessreservesatFed)Reverserepos:AgreementtoresellT-Bill(short-termuseforcash)Banks(liability-sideofbalancesheet)Fedfundspurchased(aloanfrombankswithexcessfedfunds)Repos:AgreementtorepurchaseT-Bill(short-termsourceofcash)MoneyMarketMutualFundsTheirentireinvestmentportfolioiscomprisedofMMinstrumentsFederalReserveT-Bills,Repos,andReverseRepos(foropenmarketoperations)Broker/Dealersmakesecondarymarketsin:T-Bills,Commercialpaper,NegotiableCDs.MoneyMarketInstrumentsAtotalof$6.5trillioninmoneymarketdebtwasoutstandingin2010.MoneyMarketMoneymarketdebtcomprised7%oftotaldebtoutstandingin2014Q3.CommercialPaperOutstandingAnnualized

YieldsonCommercialPaperPercentSource:Fed13Ina“creditcrunch,”investorsandlendersreducethesupplyoffundsavailableforborrowers.(InvestinTreasurysecuritiesinstead.A"flighttoquality.")Lessprivatefinancingoccurs.Priceoffinancingincreases(thatis,ahigherriskpremium).VolumeofcommercialpaperinterestrateMoneyMarketInstrumentsHowareyieldsandpricesquotedformoneymarket(MM)instruments?BecauseMMinstrumentscanbeveryshort-runcontracts,“timevalueofmoney”pricingmethodsarenotpractical.Pricingconventionshavedevelopedovertime.Thesepricingmethodsareunorthodox,buttheyareinternallylogical.

DiscountyieldT-Bills(13-or26-week)andCommercialPaper(upto270days)soldatadiscountandmakenointerestpayments.Someusefulnotation:P0=priceatorigination(purchaseprice)Pf=priceatmaturity(facevalue)h=daysuntilmaturityPricingformula:DiscountYield=quotedrate=[(Pf–P0)/Pf]*[360/h]NotethatPfisthe“basis”forpricing.Thisisunusual:Formostinvestments,thepurchasepriceP0wouldbethebasisforcalculatingyieldsandreturns.Commercialpaperrates:Thursday,January15,2015.

Nosecondarymarketformostcommercialpaper.CommercialPaperLatestWeekagoHighLow30to179daysn.q..........180to209days0.24.........210to239days0.27.........240to259days0.30.........261to264days0.30.........265to266days0.33.........268to270days0.33.........T-BillRatesLatest1monthT-Bill0.0153monthT-Bill0.0256monthT-Bill0.085Positivetermstructure.Risk-freeyields.SelectedTreasuryBillQuotes:Thursday,January15,2015MaturityBidAskChangeAskedYield(bond-equiv.)1/22/20150.0130.003-0.0130.0031/29/20150.020.01-0.0080.012/12/20150.030.020.0030.024/16/20150.0350.025-0.0030.0255/14/20150.040.03-0.0050.036/11/20150.0630.053-0.0050.0537/16/20150.080.07-0.0070.07112/10/20150.1430.133-0.0050.1351/7/20160.150.14-0.020.142Extremeshort-endoftheTreasuryyieldcurve.Comparingdiscountyieldstolong-termbondyieldsBondyieldsarecalculatedusinga365dayyearandusingP0asthebasis.Needtoconvertthediscountyield:Bond-equivalentDiscountYield=[(Pf–P0)/P0]*[365/h]Neitherofthesetwodiscountyieldsaccountforcompoundinterest.(Sensible,ofcourse,giventheshort-runnatureofMMinstruments.)EffectiveAnnualRate(EAR):EAR=[1+(bond-equiv.discountyield/(365/h))]365/h–1.MoneyMarketInstrumentsMaturityDaystomaturityBidAskedChangeAskedyield(bond-equiv.)1/7/20163580.150.14-0.020.142WhatisthepriceofthisT-Bill(usetheaskprice)?DiscountYield=[(Pf–P0)/Pf]*[360/h]

0.0014=[($1,000-P0)/$1,000]*[360/358] P0=$998.61Whatisthebond-equivalentdiscountyieldofthisT-Bill?Bond-equiv.discountyield=[(Pf–P0)/P0]*[365/h] =[($1,000-$998.61)/$998.61]*[365/358] =0.001421=0.1421%WhatistheeffectiveannualrateforthisT-Bill?EAR=[1+(bond-equiv.discountyield/(365/h))]365/h–1 =[1+(0.001421/(365/358))]365/358

-1 =[1+(0.001421/1.020)]1.020

-1 =0.001421=0.1421%FedFunds(1-7days)andTreasuryRepos(1-14days).Soldatfacevalue,interestpaymentmadeatmaturity.Quotedrate=[(Pf-P0)/P0]*[360/h]P0=theamountloanedatorigination.Pf=valueatmaturity=P0+interestpayment.Quotedrate=[((P0+interestpayment)-P0)/P0]*[360/h]Quotedrate=[interestpayment/P0]*[360/h]Convertforcomparingtolongertermyields:Bond-equivalentyield=[quotedrate]*[365/360]EAR=[(1+(bond-equiv.yield)/(365/h))]365/h–1.FedfundsandReposFederalfunds

52-WEEK

LatestWeekagoHighLowEffectiverate0.130.130.180.08Targetrate0-0.250-0.250-0.250-0.25High0.31250.31250.51600.3125Low0.03000.03000.08000.0100Bid0.05000.06000.12000.0100Offer0.10000.27000.28000.0400